Measurement errors and censored structural latent variables models
We consider censored structural latent variables models where some exogenous variables are subject to additive measurement errors. We demonstrate that overidentification conditions can be exploited to provide natural instruments for the variables measured with errors, and we propose a two-stage e...
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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/98269 http://hdl.handle.net/10220/13246 |
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| Institution: | Nanyang Technological University |
| Language: | English |
| Summary: | We consider censored structural latent variables models where some exogenous variables
are subject to additive measurement errors. We demonstrate that overidentification
conditions can be exploited to provide natural instruments for the variables
measured with errors, and we propose a two-stage estimation procedure. The first
stage involves substituting available instruments in lieu of the variables that are
measured with errors and estimating the resulting reduced form parameters using
consistent censored regression methods. The second stage obtains structural form
parameters using the conventional linear simultaneous equations model estimators. |
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